After experimenting some more, I find that this happens even with the most simple and useless shapes...

What I made:

What I got:

I used Lines to draw the model, convert it to editable poly, shell it, extrude it to give it width, UVW unwrapped it just for the test, and exported to OBJ, imported with milkshape and exported as MD3 and got that. Same result when going via 3D exploration and Tempest. The guitar model was also made with Lines and then editable poly.
However, the lamp was made only using primitive 3DS max shapes, like Cylinder, and editing that. If that helps figuring out!